After Helen says that the ice is fresh water ice, and salt causes a bad reaction from the abnormals, Henry says that they are surrounded by ice filled with salt. But, salt doesn't freeze, when ocean water freezes it leaves most of the the salt behind, so the ice surrounding the ship should not be a problem.
A sign in the room where Henry and Allistair are locked says "first aid kit" written in Cyrillic (not Russian).
At no point (even while in ice cold water) can anyone's breath be seen. Obviously, they are in a heated pool in the studio.